Professor Info

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Name: 駱建陵 Lo, Chien-Ling
Discipline: Finance
TEL: 03-4638800 ext. 6364
Email: cllo@saturn.yzu.edu.tw

Title

Associate Professor & Convener of Finance Discipline

Speciality

Derivatives Financial Engineering Risk Management Investment

Academic BG.

  • PhD, Department of Finance, National Taiwan University
  • MSc, Department of Mathematics, National Taiwan University
  • BSc, Department of Mathematical Sciences, National of ChengChi University

Experience

  • Associate Professor, College of Management, Yuan Ze University, 2021/08 -
  • Assistant Professor, College of Management, Yuan Ze University, 2018/02 - 2021/07
  • Assistant Professor, College of Finance, Feng Chia University, 2015/08 - 2018/01

Journal Papers

  1. Tsai, J.T.*, Lo, C.-L., 2024. Modeling underwriting risk: A copula regression analysis on U.S. property-casualty insurance byline loss ratios. Pacific-Basin Finance Journal 83, 102206. [SSCI, NSTC Finance Journal Ranking: A Tier-2]
  2. Cheng, H.-W., Chang, L.-H., Lo, C.-L.*, Tsai, J.T., 2023. Empirical performance of component GARCH models in pricing VIX term structure and VIX futures. Journal of Empirical Finance 72, 122-142. [SSCI, NSTC Finance Journal Ranking: A Tier-1]
  3. Lo, C.-L., Chang, C. W., Lee, J.-P., Yu, M.-T.*, 2021. Pricing catastrophe swaps with default risk and stochastic interest rates. Pacific-Basin Finance Journal 68, 101314. [SSCI, NSTC Finance Journal Ranking: A Tier-2]
  4. Liu, M.-Y., Chuang, W.-I.*, Lo, C.-L., 2021. Options-implied information and the momentum cycle. Journal of Financial Markets 53, 100565. [SSCI, NSTC Finance Journal Ranking: A Tier-1]
  5. Cheng, H.-W., Lo, C.-L.*, Tsai, J.T., 2020. Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices. North American Journal of Economics and Finance, 54, 100841. [SSCI]
  6. Lo, C.-L.*, Shih, P.-T., Wang, Y.-H., Yu, M.-T., 2019. VIX Derivatives: Valuation Models and Empirical Evidence. Pacific-Basin Finance Journal 53, 1–29. [SSCI, NSTC Finance Journal Ranking: A Tier-2]
  7. Chiang, M.-H., Fu, H.-H., Huang, Y.-T., Lo, C.-L.*, Shih, P.-T., 2018. Analytical Approximations for American Options: The Binary Power Option Approach. Journal of Financial Studies 26 (3), 91–116. [TSSCI]
  8. Chung, S.-L., Lo, C.-L.*, Shih, P.-T., 2017. Pricing Stock Options with State-Dependent Jump-to-Default. Journal of Futures and Options 10 (1), 41–79. [TSSCI]
  9. Lo, C.-L.*, Palmer, K. J., Yu, M.-T., 2014. Moment-Matching Approximations for Asian Options. Journal of Derivatives 21 (4), 103–122. [SSCI, NSTC Finance Journal Ranking: A Tier-2]
  10. Lo, C.-L., Lee, J.-P., Yu, M.-T.*, 2013. Valuation of Insurers’ Contingent Capital with Counterparty Risk and Price Endogeneity. Journal of Banking and Finance 37 (12), 5025–5035. [SSCI, NSTC Finance Journal Ranking: A Tier-1]

Conference Papers

  1. "Replica Game: A Creative Pedagogy for Option Strategies". Financial Management Association (FMA) 2022 Annual Conference, Atlanta, US. Octorber 2022.
  2. "Insurers' Contingent Capital and the Term Structure of Default Probability". The 23rd International Congress on Insurance: Mathematics and Economics (IME 2019) in Munich, Germany. July 2019.
  3. Norway. June 2018."Analytical Approximations for American Options: The Binary Power Option Approach" with Mi-Hsiu Chiang, Hsin-Hao Fu, Yi-Ta Huang, and Pai-Ta Shih. Financial Management Association (FMA) European Conference in Kristiansand, Norway. June 2018.
  4. "Bankruptcy Risk Premium and the Valuation of Stock Options" with San-Lin Chung. Financial Management Association (FMA) Annual Meeting in Boston, MA, US. October 2017.
  5. "Pricing Stock Options with the Term Structure of Bankruptcy Probability" Financial Management Association (FMA) European Conference in Lisbon, Portugal. June 2017.
  6. "Two Variance Components, Variance Jumps, and the Pricing of VIX Derivatives" with Pai-Ta Shih, Yaw-Huei Wang, and Min-Teh Yu. European Financial Management Association (EFMA) Annual Meeting in Basel, Switzerland. June 2016.
  7. "Extracting Default Information from Equity Option Prices: A General Equilibrium Approach" with San-Lin Chung. Financial Management Association (FMA) Annual Meeting in Orlando, Florida, US. October 2015.
  8. "Is A Jump Component or An Additional Volatility Factor Crucial for Volatility Modeling? Evidence from the Pricing of VIX Derivatives" with Pai-Ta Shih, Yaw-Huei Wang, and Min-Teh Yu. Financial Management Association (FMA) Annual Meeting in Chicago, Illinois, US. October 2013.
  9. "Valuation of Catastrophe Equity Puts with Counterparty Risk and Price Endogeneity" with Jin-Pin Lee and Min-Teh Yu. Financial Management Association (FMA) Annual Meeting in Atlanta, Georgia, US. October 2012.
  10. "Analytic Approximations for Generalized Asian Options" with Kenneth J. Palmer and Min-Teh Yu. Financial Management Association (FMA) Annual Meeting in Denver, Colorado, US. October 2011.

Research Grants

  1. Lo, Chien-Ling (2021), Research on Informationally Passive Option Pricing Models (MOST110-2410-H-155-009-MY3)
  2. Lo, Chien-Ling (2019), Valuation of Stock Options with Model Uncertainty (MOST108-2410-H-155-016-MY2)
  3. Lo, Chien-Ling (2017), Valuation of Stock Options, Bankruptcy Risk Premium, and the Term Structure of Bankruptcy Probability (MOST106-2410-H-035-007-MY2)
  4. Lo, Chien-Ling (2016), Valuation of Presale Contracts with Options to Default (MOST105-2410-H-035-022)
  5. Lo, Chien-Ling (2015), Valuation of Stock Options with State-Dependent Default Intensity (MOST104-2410-H-035-048)
  6. Lo, Chien-Ling (2013), Is a Jump Component or an Additional Factor Crucial for Volatility Modeling? Evidence from the Pricing of VIX Derivatives. (NSC102-2420-H-002-045-DR)

Books/Pub.

Industrial Grants

Courses

  1. Derivative Securities (BBA, MS)
  2. Financial Packages and Applications (EBBA)
  3. Fundamental Computer Programming - Introduction to Data Analysis (EBBA)
  4. Portfolio and Security Analysis (EBBA)
  5. Calculus (BBA)

Dissertation

  1. 110 Master thesis, Yu-Hsiang Chen, Figlewski's option pricing formulae and future equity return predictability
  2. 109 Master thesis, Wei-Ming Lee, Using VIXTWN to improve option writing strategies
  3. 109 Master thesis, Jia-Liang Chen, The relationship between spot-future basis and the option market: Evidence from TAIFEX derivatives market

Awards & Certificates

  1. 2022 FMA Innovation in Teaching Award: Runners-up
  2. 2022 YZU Young Scholar Research Award
  3. 2021 TRIA Outstanding Junior Researcher Award

Pro. Membership

  1. Financial Management Association (FMA)
  2. Taiwan Risk and Insurance Association (TRIA)
  3. Financial Engineering Association of Taiwan (FeAT)

Other Contributions